The first eight weeks of the course uses the book Linear System Theory and Design International Fourth Edition (The Oxford Series in Electrical and Computer Engineering) (Chen, Chi-Tsong) (Z-Library).pdf, and focuses mostly on deterministic systems.
- Models are assumed to be exact, except some cases with uncertainty, disturbances and measurement noise. Real world systems are therefore modeled with the cases mentioned over.
- Random processes
- Stochastic systems
- State Estimation with uncertainties (Kalman Filter)
The last 4 weeks will talk about
- Expectation
- Variance
- Autocorrelation
- Power spectrum
- Correlation/Covariance
- Systems with random inputs or initial values
- Mean and Covariance
- Optimal estimation of random processes - Kalman Filter in continous and discrete time
- Noise shaping for Kalman Filter systems